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Quantitative Finance / Taylor & Francis Journals


0.48

Impact Factor

0.6

5-Years IF

38

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.04
19910.1000 (%)0.04
19920.1000 (%)0.04
19930.11000 (%)0.05
19940.11000 (%)0.04
19950.19000 (%)0.07
19960.23000 (%)0.09
19970.27000 (%)0.09
19980.28000 (%)0.1
19990.32000 (%)0.13
20000.390100 (%)0.15
20010.396767260.3915900062 (3.9%)200.30.14
20020.540.410.5463130580.456386736673648 (7.5%)80.130.17
20030.640.430.64681981160.59527130831308340 (7.6%)40.060.18
20040.470.480.55682661470.557861316119810839 (5%)110.160.2
20050.40.520.6503162140.686771365526616029 (4.3%)40.080.21
20060.430.510.63453612480.693151185131619928 (8.9%)100.220.2
20070.370.440.45634242330.55342953529413213 (3.8%)80.130.18
20080.210.480.45644883030.624641082329413221 (4.5%)170.270.2
20090.280.490.55805683630.643901273629016019 (4.9%)40.050.19
20100.380.460.451146823670.547711445430213734 (4.4%)180.160.17
20110.270.50.361308123790.473811945236613012 (3.1%)160.120.19
20120.370.530.481669785620.574682449145121617 (3.6%)90.050.19
20130.310.590.5214011187860.74332969255429028 (6.5%)220.160.21
20140.420.610.5615512739390.743083061286303526 (1.9%)180.120.2
20150.490.630.57141141410140.7235929514570540311 (3.1%)370.260.2
20160.630.70.59136155012880.831152961867324293 (2.6%)40.030.2
20170.480.780.6141169112060.7171277133738444 (%)140.10.23
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


#YearTitleCited
12001Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236.

Full description at Econpapers || Download paper

573
22004Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684.

Full description at Econpapers || Download paper

222
32005Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24.

Full description at Econpapers || Download paper

195
42001What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245.

Full description at Econpapers || Download paper

140
52001Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167.

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137
62001Asset price and wealth dynamics under heterogeneous expectations. (2001). He, Xuezhong ; Chiarella, Carl ; X-Z. He, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526.

Full description at Econpapers || Download paper

101
72003Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14.

Full description at Econpapers || Download paper

94
82002Dynamics of implied volatility surfaces. (2002). DA FONSECA, José ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60.

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92
92010Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157.

Full description at Econpapers || Download paper

87
102002Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256.

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86
112002A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353.

Full description at Econpapers || Download paper

81
122003Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514.

Full description at Econpapers || Download paper

79
132010Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606.

Full description at Econpapers || Download paper

78
142004What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397.

Full description at Econpapers || Download paper

76
152008High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224.

Full description at Econpapers || Download paper

74
162001Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37.

Full description at Econpapers || Download paper

73
172004Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190.

Full description at Econpapers || Download paper

71
182011Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012.

Full description at Econpapers || Download paper

68
192001High-frequency cross-correlation in a set of stocks. (2001). Mantegna, Rosario ; Lillo, F. ; Bonanno, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104.

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68
202001Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471.

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67
212013Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77.

Full description at Econpapers || Download paper

61
222010A comparison of biased simulation schemes for stochastic volatility models. (2010). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194.

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59
232004A spot market model for pricing derivatives in electricity markets. (2004). Müller, Alfred ; Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122.

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58
242008A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; DA FONSECA, José ; Grasselli, Martino. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604.

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55
252010No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759.

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55
262003Systematic risk and timescales. (2003). Whitcher, Brandon ; Genay, Ramazan. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116.

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54
272001Stochastic volatility as a simple generator of apparent financial power laws and long memory. (2001). Lebaron, Blake. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:621-631.

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52
282010Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485.

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51
292007Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36.

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46
302002Probability distribution of returns in the Heston model with stochastic volatility. (2002). Yakovenko, Victor ; Dragulescu, A. A.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453.

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44
312015The multiplex structure of interbank networks. (2015). Infante, Luigi ; di Iasio, Giovanni ; Bargigli, Leonardo ; Pierobon, F. ; Lillo, F.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691.

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44
322011Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041.

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43
332012Leverage causes fat tails and clustered volatility. (2012). Farmer, J. ; Geanakoplos, John ; Thurner, Stefan. In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:5:p:695-707.

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42
342001Infectious defaults. (2001). Davis, M. ; Lo, V.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:382-387.

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41
352003Testing the Gaussian copula hypothesis for financial assets dependences. (2003). Malevergne, Yannick ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:4:p:231-250.

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41
362001Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. (2001). Lucas, C. A. ; Jobst, N. J. ; Horniman, M. D. ; Mitra, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:489-501.

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40
372001Pricing weather derivatives by marginal value. (2001). Davis, M.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:305-308.

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39
382002The power of patience: a behavioural regularity in limit-order placement. (2002). Farmer, J. ; Zovko, Ilija . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:387-392.

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38
392008Heterogeneity, convergence, and autocorrelations. (2008). Li, Youwei ; He, Xuezhong. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:1:p:59-79.

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38
402002Dynamical pricing of weather derivatives. (2002). Brody, Dorje ; Zervos, Mihail ; Syroka, Joanna . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:3:p:189-198.

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38
412005Order book approach to price impact. (2005). Rosenow, B. ; Weber, P.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:4:p:357-364.

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38
422005Tobin tax and market depth. (2005). Westerhoff, Frank ; Stauffer, D. ; Ehrenstein, G.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:2:p:213-218.

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36
432011Liberalisation and stock market co-movement between emerging economies. (2011). Candelon, Bertrand ; Beine, Michel. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:2:p:299-312.

Full description at Econpapers || Download paper

36
442015Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China. (2015). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:889-900.

Full description at Econpapers || Download paper

35
452010Statistical arbitrage in the US equities market. (2010). Lee, Jeong-Hyun ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782.

Full description at Econpapers || Download paper

35
462001Information and option pricings. (2001). Guo, X.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:38-44.

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35
472012The price impact of order book events: market orders, limit orders and cancellations. (2012). Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419.

Full description at Econpapers || Download paper

35
482002Asymptotics and calibration of local volatility models. (2002). Berestycki, H. ; Busca, J. ; Florent, I.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:61-69.

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34
492001Price fluctuations, market activity and trading volume. (2001). Gabaix, Xavier ; Stanley, H. E. ; Plerou, V. ; Gopikrishnan, P. ; L. A. N. Amaral, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:262-269.

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33
502013Optimal high-frequency trading with limit and market orders. (2013). Guilbaud, Fabien ; Huyên Pham, . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94.

Full description at Econpapers || Download paper

33

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
12001Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236.

Full description at Econpapers || Download paper

215
22004Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684.

Full description at Econpapers || Download paper

82
32005Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24.

Full description at Econpapers || Download paper

46
42008High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224.

Full description at Econpapers || Download paper

39
52010Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606.

Full description at Econpapers || Download paper

37
62015The multiplex structure of interbank networks. (2015). Infante, Luigi ; di Iasio, Giovanni ; Bargigli, Leonardo ; Pierobon, F. ; Lillo, F.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691.

Full description at Econpapers || Download paper

34
72011Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012.

Full description at Econpapers || Download paper

34
82001What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245.

Full description at Econpapers || Download paper

33
92010Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157.

Full description at Econpapers || Download paper

31
102013Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77.

Full description at Econpapers || Download paper

30
112015Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China. (2015). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:889-900.

Full description at Econpapers || Download paper

30
122010Statistical arbitrage in the US equities market. (2010). Lee, Jeong-Hyun ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782.

Full description at Econpapers || Download paper

29
132011Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041.

Full description at Econpapers || Download paper

26
142004Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190.

Full description at Econpapers || Download paper

25
152003Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514.

Full description at Econpapers || Download paper

25
162013Optimal high-frequency trading with limit and market orders. (2013). Guilbaud, Fabien ; Huyên Pham, . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94.

Full description at Econpapers || Download paper

24
172012The price impact of order book events: market orders, limit orders and cancellations. (2012). Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419.

Full description at Econpapers || Download paper

23
182015Filling in the blanks: network structure and interbank contagion. (2015). von Peter, Goetz ; Anand, Kartik ; Craig, Ben . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:625-636.

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23
192015On elicitable risk measures. (2015). Bellini, Fabio ; Bignozzi, Valeria. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:725-733.

Full description at Econpapers || Download paper

22
202004What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397.

Full description at Econpapers || Download paper

21
212005Pairs trading. (2005). John van der Hoek, ; Malcolm, William ; Elliott, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:271-276.

Full description at Econpapers || Download paper

21
222010A comparison of biased simulation schemes for stochastic volatility models. (2010). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194.

Full description at Econpapers || Download paper

20
232001Asset price and wealth dynamics under heterogeneous expectations. (2001). He, Xuezhong ; Chiarella, Carl ; X-Z. He, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526.

Full description at Econpapers || Download paper

20
242013Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742.

Full description at Econpapers || Download paper

20
252014Hawkes model for price and trades high-frequency dynamics. (2014). Bacry, Emmanuel ; Muzy, Jean-Franois . In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:7:p:1147-1166.

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19
262016Pricing under rough volatility. (2016). Bayer, Christian ; Gatheral, Jim ; Friz, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:6:p:887-904.

Full description at Econpapers || Download paper

19
272011Liberalisation and stock market co-movement between emerging economies. (2011). Candelon, Bertrand ; Beine, Michel. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:2:p:299-312.

Full description at Econpapers || Download paper

19
282010Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485.

Full description at Econpapers || Download paper

18
292012Universal price impact functions of individual trades in an order-driven market. (2012). Zhou, Wei-Xing. In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:8:p:1253-1263.

Full description at Econpapers || Download paper

18
302001Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37.

Full description at Econpapers || Download paper

18
312003Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14.

Full description at Econpapers || Download paper

18
322002A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353.

Full description at Econpapers || Download paper

17
332010International trade and financial integration: a weighted network analysis. (2010). Schiavo, Stefano ; Reyes, Javier ; Fagiolo, Giorgio. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:4:p:389-399.

Full description at Econpapers || Download paper

17
342002Probability distribution of returns in the Heston model with stochastic volatility. (2002). Yakovenko, Victor ; Dragulescu, A. A.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453.

Full description at Econpapers || Download paper

17
352012Does herding affect volatility? Implications for the Spanish stock market. (2012). Blasco, Natividad ; Ferreruela, Sandra ; Corredor, Pilar . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:2:p:311-327.

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17
362008A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; DA FONSECA, José ; Grasselli, Martino. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604.

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17
372002Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256.

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382007Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36.

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392005Optimal portfolios and Hestons stochastic volatility model: an explicit solution for power utility. (2005). Kraft, Holger. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:303-313.

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402004A spot market model for pricing derivatives in electricity markets. (2004). Müller, Alfred ; Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122.

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412001Non-random topology of stock markets. (2001). Brisbois, F. ; Tordoir, X. ; Vandewalle, N.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:372-374.

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15
422015Quantifying preferential trading in the e-MID interbank market. (2015). Mantegna, Rosario ; Iori, Giulia ; Tumminello, Michele ; Micciche, Salvatore ; Hatzopoulos, Vasilis . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:693-710.

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432010No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759.

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442010Valuation of energy storage: an optimal switching approach. (2010). Ludkovski, Michael ; Carmona, Rene. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:4:p:359-374.

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452001Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471.

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462001High-frequency cross-correlation in a set of stocks. (2001). Mantegna, Rosario ; Lillo, F. ; Bonanno, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104.

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472001Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167.

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482013The dynamics of commodity prices. (2013). Prokopczuk, Marcel ; Brooks, Chris. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:4:p:527-542.

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13
492007Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period. (2007). Aloui, Chaker. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:6:p:669-685.

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12
502014Asset price bubbles: a survey. (2014). Scherbina, Anna ; Schlusche, Bernd. In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:4:p:589-604.

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2017Cointegration test of oil price and us dollar exchange rates for some oil dependent economies. (2017). Obi, Pat ; Bokpin, Godfred ; Mensah, Lord. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:304-311.

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2017Enhancing two-stage modelling methodology for loss given default with support vector machines. (2017). Yao, Xiao ; Andreeva, Galina ; Crook, Jonathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:679-689.

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2017Global Hedging through Post-Decision State Variables. (2017). BRETON, Michel E ; Godin, Frederic. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:3:p:16-:d:107638.

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2017Assessing the effectiveness of local and global quadratic hedging under GARCH models. (2017). Augustyniak, Maciej ; Simard, Clarence ; Godin, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1305-1318.

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2017Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models (Revised version of CARF-F-365 : Subsequently published in Mathematics of Operations Research). (2017). Shiraya, Kenichiro ; Takahashi, Akihiko. In: CARF F-Series. RePEc:cfi:fseres:cf426.

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2017The financial economics of white precious metals — A survey. (2017). Vigne, Samuel A ; Yarovaya, Larisa ; Oconnor, Fergal A ; Lucey, Brian M. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:292-308.

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2017Optimal asset allocation for strategic investors. (2017). Laborda, Ricardo ; Olmo, Jose. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:970-987.

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2017NUMERICAL PRICING OF CoCo BONDS WITH PARISIAN TRIGGER FEATURE USING THE FORTET METHOD. (2017). Leung, Chi Man ; Kwok, Yue Kuen. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500467.

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2017ANALYTIC PRICING OF CoCo BONDS. (2017). Turfus, Colin ; Shubert, Alexander. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500340.

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2017CoCo bonds and implied CET1 volatility. (2017). de Spiegeleer, Jan ; Schoutens, Wim ; Marquet, Ine ; Hocht, Stephan ; STEPHAN HÖCHT, . In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:6:p:813-824.

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2017ON THE NUMERICAL ASPECTS OF OPTIMAL OPTION HEDGING WITH TRANSACTION COSTS. (2017). Josephy, Norman ; Steblovskaya, Victoria ; Kimball, Lucia . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500029.

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2017Models of Investor Forecasting Behavior — Experimental Evidence. (2017). Bonetto, Federico ; Kleywegt, Anton J ; Cheriyan, Vinod. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2017:i:1:p:3-:d:124691.

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2017Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility. (2017). Gerlach, Richard ; Wang, Chao ; Walpole, Declan. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:2:p:199-215.

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2017Hybrid scheme for Brownian semistationary processes. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0335-5.

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2017A regularity structure for rough volatility. (2017). Bayer, Christian ; Stemper, Benjamin ; Martin, Joerg ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:1710.07481.

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2017Does the Hurst index matter for option prices under fractional volatility?. (2017). Funahashi, Hideharu ; Kijima, Masaaki. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:1:d:10.1007_s10436-016-0289-1.

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2017Pricing derivatives with fractional volatility. (2017). Funahashi, Hideharu. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500141.

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2017Decarbonizing the electricity grid: The impact on urban energy systems, distribution grids and district heating potential. (2017). Morvaj, Boran ; Carmeliet, Jan ; Evins, Ralph . In: Applied Energy. RePEc:eee:appene:v:191:y:2017:i:c:p:125-140.

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2017Adaptive linear prediction for optimal control of wind turbines. (2017). Narayana, Mahinsasa ; Conlon, Michael F ; Putrus, Ghanim ; Sunderland, Keith M. In: Renewable Energy. RePEc:eee:renene:v:113:y:2017:i:c:p:895-906.

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2017The feasibility of solar parking lots for electric vehicles. (2017). Brito, Miguel C ; Figueiredo, Raquel ; Nunes, Pedro. In: Energy. RePEc:eee:energy:v:140:y:2017:i:p1:p:1182-1197.

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2017Determining commercially viable two-way and one-way ‘Contract-for-Difference’ strike prices and revenue receipts. (2017). Wild, Phillip. In: Energy Policy. RePEc:eee:enepol:v:110:y:2017:i:c:p:191-201.

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2017Analytical pricing formulas for discretely sampled generalized variance swaps under stochastic time change. (2017). Tong, Zhigang ; Liu, Allen. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500281.

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2017Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. (2017). Sinha Roy, Saikat ; Sinharoy, Saikat. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:368-380.

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2017A stein type lemma for the multivariate generalized hyperbolic distribution. (2017). Vanduffel, Steven ; Yao, Jing. In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:2:p:606-612.

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2017Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:6117.

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2017Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: Working Papers. RePEc:pre:wpaper:201739.

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2017Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method. (2017). Ewald, Christian-Oliver ; Chen, Jilong. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:144-151.

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2017The effect of heterogeneity on financial contagion due to overlapping portfolios. (2017). Harrald, Paul ; Medda, Francesca ; Caccioli, Fabio ; Banwo, Opeoluwa. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:69678.

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2017Counterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to PFL. (2017). Kenyon, Chris ; Poncet, Benjamin ; Berrahoui, Mourad . In: Papers. RePEc:arx:papers:1710.03161.

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2017A simple efficient approximation to price basket stock options with volatility smile. (2017). Wu, Ping ; Elliott, Robert J. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:1:d:10.1007_s10436-017-0292-1.

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2017Affine multiple yield curve models. (2017). Gnoatto, Alessandro ; Cuchiero, Christa ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1603.00527.

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2017General Price Bounds for Guaranteed Annuity Options. (2017). Bahl, Raj Kumari ; Sabanis, Sotirios . In: Papers. RePEc:arx:papers:1707.00807.

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2017Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation. (2017). Kravchenko, Igor V ; Jos'e Carlos Dias, ; Torba, Sergii M. In: Papers. RePEc:arx:papers:1712.08247.

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2017Multiple lending, credit lines and financial contagion. (2017). Cappelletti, Giuseppe ; Mistrulli, Paolo Emilio . In: Working Paper Series. RePEc:ecb:ecbwps:20172089.

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2017The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market. (2017). Barucca, Paolo ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1511.08068.

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2017Multiplex interbank networks and systemic importance - An application to European data. (2017). Aldasoro, Iñaki ; Alves, Ivan . In: BIS Working Papers. RePEc:bis:biswps:603.

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2017Multichannel Contagion vs Stabilisation in Multiple Interconnected Financial Markets. (2017). Serguieva, Antoaneta . In: Papers. RePEc:arx:papers:1701.06975.

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2017Estimation and model-based combination of causality networks. (2017). Caporin, Massimiliano ; Bonaccolto, Giovanni ; Panzica, Roberto Calogero . In: SAFE Working Paper Series. RePEc:zbw:safewp:165.

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2017Multichannel contagion vs stabilisation in multiple interconnected financial markets. (2017). Serguieva, Antoaneta ; Bholat, David. In: IFC Bulletins chapters. RePEc:bis:bisifc:43-09.

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2017Multiple lending, credit lines, and financial contagion. (2017). Mistrulli, Paolo Emilio ; Cappelletti, Giuseppe . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1123_17.

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2017Bank networks: Contagion, systemic risk and prudential policy. (2017). Faia, Ester ; Delli Gatti, Domenico ; Aldasoro, Iñaki. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:142:y:2017:i:c:p:164-188.

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2017Network models of financial systemic risk: A review. (2017). Kobayashi, Teruyoshi ; Barucca, Paolo ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1710.11512.

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2017Network models of financial systemic risk: A review. (2017). Kobayashi, Teruyoshi ; Barucca, Paolo ; Caccioli, Fabio. In: Discussion Papers. RePEc:koe:wpaper:1719.

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2017Network centrality and funding rates in the e-MID interbank market. (2017). Temizsoy, Asena ; Montes-Rojas, Gabriel ; Iori, Giulia. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:346-365.

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2017Network Formation with Multigraphs and Strategic Complementarities. (2017). Sarangi, Sudipta ; Mahmud, Ahmed Saber ; Joshi, Sumit. In: Working Papers. RePEc:gwi:wpaper:2017-27.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

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2017Forecasting stock market returns by summing the frequency-decomposed parts. (2017). Verona, Fabio ; Faria, Gonalo. In: CEF.UP Working Papers. RePEc:por:cetedp:1702.

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2017Estimation of long memory in volatility using wavelets. (2017). Baruník, Jozef ; Jozef, Barunik ; Lucie, Kraicova . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:3:p:22:n:5.

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2017Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742.

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2017Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111.

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2017A Statistical Analysis of Cryptocurrencies. (2017). Chan, Stephen ; Osterrieder, Joerg ; Nadarajah, Saralees ; Chu, Jeffrey. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:2:p:12-:d:100126.

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2017Time series momentum and moving average trading rules. (2017). Visaltanachoti, Nuttawat ; Nguyen, Nhut H ; Marshall, Ben R. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:3:p:405-421.

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2017Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498.

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2017On the properties of the Lambda value at risk: robustness, elicitability and consistency. (2017). Burzoni, Matteo ; Ruffo, Chiara Maria ; Peri, Ilaria. In: Papers. RePEc:arx:papers:1603.09491.

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2017MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Maume-Deschamps, Veronique ; Said, Khalil ; Rulliere, Didier . In: Working Papers. RePEc:hal:wpaper:hal-01367277.

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2017Robust and Pareto optimality of insurance contracts. (2017). Asimit, Alexandru V ; Kim, Eun-Seok ; Hu, Junlei ; Chun, KA ; Bignozzi, Valeria. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:2:p:720-732.

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2017MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique. In: Post-Print. RePEc:hal:journl:hal-01367277.

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2017On the properties of the Lambda value at risk: robustness, elicitability and consistency. (2017). Burzoni, M ; Ruffo, C M ; Peri, I. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:11:p:1735-1743.

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2017Statistical inference for ergodic point processes and application to Limit Order Book. (2017). Clinet, Simon ; Yoshida, Nakahiro. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:6:p:1800-1839.

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2017STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL. (2017). Toke, Ioane Muni. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s021902491750039x.

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2017STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL. (2017). Toke, Ioane Muni. In: Post-Print. RePEc:hal:journl:hal-01705085.

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2017The Financial Connectedness between Eurozone Core and Periphery: A Disaggregated View. (2017). Tsopanakis, Andreas ; Magkonis, Georgios. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/15.

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2017The amazing power of dimensional analysis: Quantifying market impact. (2017). Pohl, Mathias ; Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander . In: Papers. RePEc:arx:papers:1702.05434.

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2017Optimal execution with non-linear transient market impact. (2017). Curato, Gianbiagio ; Lillo, Fabrizio ; Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:1:p:41-54.

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2017Time-varying return predictability in South Asian equity markets. (2017). Lee, Doo Won ; Lutfur, MD ; Shamsuddin, Abul. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:179-200.

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2017Detecting intraday financial market states using temporal clustering. (2017). Hendricks, Dieter ; Wilcox, Diane ; Gebbie, Tim . In: Papers. RePEc:arx:papers:1508.04900.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2017Cross-Sectional and Time-Series Momentum Returns and Market States. (2017). Nartea, Gilbert ; Cheema, Muhammad ; Man, Yimei . In: MPRA Paper. RePEc:pra:mprapa:78989.

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2017Sequence Classification of the Limit Order Book using Recurrent Neural Networks. (2017). Dixon, Matthew F. In: Papers. RePEc:arx:papers:1707.05642.

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2017The financial economics of white precious metals — A survey. (2017). Vigne, Samuel A ; Yarovaya, Larisa ; Oconnor, Fergal A ; Lucey, Brian M. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:292-308.

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2017Price forecasting in the precious metal market: A multivariate EMD denoising approach. (2017). He, Kaijian ; Chen, Yanhui. In: Resources Policy. RePEc:eee:jrpoli:v:54:y:2017:i:c:p:9-24.

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2017Estimation of financial agent-based models with simulated maximum likelihood. (2017). Baruník, Jozef ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45.

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2017Catastrophe theory and the financial crisis. (2017). Wesselbaum, Dennis. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:64:y:2017:i:4:p:376-391.

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2017Why do vulnerability cycles matter in financial networks?. (2017). Tabak, Benjamin ; Silva, Thiago ; Guerra, Solange. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:592-606.

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2017Contagion in financial systems: A Bayesian network approach. (2017). Chong, Carsten ; Kluppelberg, Claudia. In: Papers. RePEc:arx:papers:1702.04287.

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2017Network, market, and book-based systemic risk rankings. (2017). van de Leur, Michiel ; Lucas, Andre ; Seeger, Norman J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:84-90.

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2017Clearing algorithms and network centrality. (2017). Siebenbrunner, Christoph. In: Papers. RePEc:arx:papers:1706.00284.

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2017The decline of solvency contagion risk. (2017). Hill, John ; Bardoscia, Marco ; Codd, Adam Brinley ; Barucca, Paolo. In: Bank of England working papers. RePEc:boe:boeewp:0662.

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2017Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data. (2017). Fique, Jose . In: Staff Working Papers. RePEc:bca:bocawp:17-30.

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2017Variance Decomposition Networks; Potential Pitfalls and a Simple Solution. (2017). Chan-Lau, Jorge A. In: IMF Working Papers. RePEc:imf:imfwpa:17/107.

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2017Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection. (2017). Santanna, Leonardo R ; Caldeira, Joo F ; Filomena, Tiago P. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:146-157.

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2017Analysis of order book flows using a nonparametric estimation of the branching ratio matrix. (2017). Achab, Massil ; Rambaldi, Marcello ; Muzy, Jean-Franccois ; Bacry, Emmanuel. In: Papers. RePEc:arx:papers:1706.03411.

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2017News sentiment and jumps in energy spot and futures markets. (2017). Dokumentov, Alexander ; Rotaru, Kristian ; Maslyuk-Escobedo, Svetlana. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:186-210.

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2017Volatility Smile as Relativistic Effect. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1610.02456.

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2017On Origins of Bubbles. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1610.03769.

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2017Volatility smile as relativistic effect. (2017). Kakushadze, Zura. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:475:y:2017:i:c:p:59-76.

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2017Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; You, Kefei . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1668.

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2017Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests. (2017). Caporale, Guglielmo Maria ; You, Kefei . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1669.

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2017Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests. (2017). Caporale, Guglielmo Maria ; You, Kefei . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6494.

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2017Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; You, Kefei . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6477.

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2017Reverse stress testing interbank networks. (2017). Grigat, Daniel ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.08744.

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2017Transfer mutual information: A new method for measuring information transfer to the interactions of time series. (2017). Lin, Aijing ; Shang, Pengjian ; Zhao, Xiaojun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:467:y:2017:i:c:p:517-526.

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2017Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach. (2017). Liu, Zhixue ; Gu, Huaying ; Weng, Yingliang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:460-472.

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2017Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; He, Kaijian ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433.

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2017Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty. (2017). Leung, Tim ; Bulthuis, Brian ; Ward, Brian ; Concha, Julio. In: Papers. RePEc:arx:papers:1604.04963.

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2017Instantaneous order impact and high-frequency strategy optimization in limit order books. (2017). Gonzalez, Federico ; Schervish, Mark . In: Papers. RePEc:arx:papers:1707.01167.

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2017Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty. (2017). Leung, Tim ; Ward, Brian ; Concha, Julio ; Bulthuis, Brian. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500207.

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2017OUTPERFORMING A STOCHASTIC BENCHMARK UNDER BORROWING AND RECTANGULAR CONSTRAINTS. (2017). Yener, Haluk ; Beylunioglu, Fuat Can . In: Working Papers. RePEc:bli:wpaper:1701.

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2017Estimating VaR in credit risk: Aggregate vs single loss distribution. (2017). Assadsolimani, M ; Chetalova, D. In: Papers. RePEc:arx:papers:1702.04388.

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2017The value of stop-loss, stop-gain strategies in dynamic asset allocation. (2017). Shelton, Austin. In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:2:d:10.1057_s41260-016-0010-y.

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2017Assessing the effectiveness of local and global quadratic hedging under GARCH models. (2017). Augustyniak, Maciej ; Simard, Clarence ; Godin, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1305-1318.

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2017Significant ties: Identifying relationship lending in temporal interbank networks. (2017). Kobayashi, Teruyoshi ; Takaguchi, Taro . In: Discussion Papers. RePEc:koe:wpaper:1717.

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2017A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market. (2017). Mazzarisi, Piero ; Tantari, Daniele ; Lillo, Fabrizio ; Barucca, Paolo. In: Papers. RePEc:arx:papers:1801.00185.

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2017Predicting risk premium under changes in the conditional distribution of stock returns. (2017). Sousa, Ricardo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:204-218.

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2017SenSR: A sentiment-based systemic risk indicator. (2017). Borovkova, Svetlana ; Rustige, Jordi ; Lammers, Philip ; Garmaev, Evgeny . In: DNB Working Papers. RePEc:dnb:dnbwpp:553.

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2017Building News Measures from Textual Data and an Application to Volatility Forecasting. (2017). Caporin, Massimiliano ; Poli, Francesco. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:35-:d:108901.

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2017Forecasting Oil Price Trends with Sentiment of Online News Articles. (2017). Li, Jian ; Yu, Lean ; Tang, Ling ; Xu, Huijuan. In: Asia-Pacific Journal of Operational Research (APJOR). RePEc:wsi:apjorx:v:34:y:2017:i:02:n:s021759591740019x.

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2017Implications of implicit credit spread volatilities on interest rate modelling. (2017). Fanelli, Viviana . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:707-718.

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2017Trading strategies for stock pairs regarding to the cross-impact cost. (2017). Wang, Shan Shan . In: Papers. RePEc:arx:papers:1701.03098.

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2017Joint price and volumetric risk in wind power trading: A copula approach. (2017). Pircalabu, A ; Hog, E ; Jung, J ; Hvolby, T. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:139-154.

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2017ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs. (2017). Levendorski, Sergei. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500339.

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2017Dynamics of Investor Spanning Trees Around Dot-Com Bubble. (2017). Ranganathan, Sindhuja ; Kanniainen, Juho ; Kivela, Mikko . In: Papers. RePEc:arx:papers:1708.04430.

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2017New approaches in agent-based modeling of complex financial systems. (2017). Li, Y ; Chen, T T ; Jiang, X F ; Zheng, B. In: Papers. RePEc:arx:papers:1703.06840.

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2017Evaluating regulation within an artificial financial system: A framework and its application to the liquidity coverage ratio regulation. (2017). Brückbauer, Frank ; Brueckbauer, Frank ; Riedler, Jesper . In: ZEW Discussion Papers. RePEc:zbw:zewdip:17022.

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2017How Do Macroeconomic and Bank-specific Variables Influence Profitability in the Austrian Banking Sector? Evidence from a Panel Vector Autoregression Analysis. (2017). Sigmund, Michael ; Pagnini, Marcello ; Krenn, Gerald ; Gunter, Ulrich ; Vacca, Valerio ; Rossi, Paola. In: Economic Notes. RePEc:bla:ecnote:v:46:y:2017:i:3:p:555-586.

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2017Open Source Fundamental Industry Classification. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1706.04210.

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2017Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model. (2017). Li, Danping ; Yi, BO ; Zhao, Hui ; Rong, Ximin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:6-20.

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2017Time varying contagion in EMU government bond spreads. (2017). Leschinski, Christian ; Bertram, Philip . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:72-91.

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2017Withdrawal of Italy from the euro area: Stochastic simulations of a structural macroeconometric model. (2017). Mongeau Ospina, Christian Alexander ; Granville, Brigitte ; Bagnai, Alberto. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:524-538.

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2017Higher-Order Risk Measure and (Higher-Order) Stochastic Dominance. (2017). Wong, Wing-Keung ; Niu, Cuizhen ; Xu, Qunfang . In: MPRA Paper. RePEc:pra:mprapa:75948.

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2017Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis. (2017). Wong, Wing-Keung ; HOANG, Thi Hong Van ; EL KHAMLICHI, ABDELBARI ; van Hoang, Thi Hong. In: MPRA Paper. RePEc:pra:mprapa:76282.

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2017Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency. (2017). Wong, Wing-Keung ; Xiao, Zhijie . In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:2:p:666-678.

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2017A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises. (2017). Wong, Wing-Keung ; McAleer, Michael ; Guo, Xu ; Zhu, Lixing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:346-358.

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2017Is Wine a Good Choice for Investment?. (2017). Wong, Wing-Keung ; GUPTA, RANGAN ; Bouri, Elie ; Zhu, Zhenzhen . In: Working Papers. RePEc:pre:wpaper:201781.

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2017Income and Consumption Inequality in the Philippines: A Stochastic Dominance Analysis of Household Unit Records. (2017). Wong, Wing-Keung ; Zhen, Zhu Zhen ; Valenzuela, Maria Rebecca. In: ADBI Working Papers. RePEc:ris:adbiwp:0662.

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2017Stochastic Dominance and Omega Ratio: Measures to Examine Market Efficiency, Arbitrage Opportunity, and Anomaly. (2017). Wong, Wing-Keung ; Guo, Xu ; Jiang, Xuejun. In: Economies. RePEc:gam:jecomi:v:5:y:2017:i:4:p:38-:d:115667.

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2017Temporary and permanent technology lock-ins in the quality-differentiated Bertrand competition. (2017). Krysiak, Frank ; Bondarev, Anton. In: Working papers. RePEc:bsl:wpaper:2017/09.

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2017Robust policy schemes for R&D games with asymmetric information. (2017). Krysiak, Frank C. In: Working papers. RePEc:bsl:wpaper:2017/14.

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2017Essays on robust asset pricing. (2017). Horvath, Ferenc. In: Other publications TiSEM. RePEc:tiu:tiutis:e54d7b33-1f27-4b0e-9f84-f96636a04c1e.

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2017Energy shocks and detecting influential industries. (2017). Kang, Dongsuk ; Lee, Duk Hee. In: Energy. RePEc:eee:energy:v:125:y:2017:i:c:p:234-247.

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2017Climate change effects and their interactions: An analysis aiming at policy implications. (2017). Tsilika, Kyriaki ; HALKOS, GEORGE. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:53:y:2017:i:c:p:140-146.

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2017Deviations in expected price impact for small transaction volumes under fee restructuring. (2017). Wilcox, D ; Harvey, M ; Hendricks, D ; Gebbie, T. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:416-426.

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Recent citations (cites in year: CiY)


Recent citations received in 2017

YearCiting document
2017An empirical behavioural order-driven model with price limit rules. (2017). Gu, Gao-Feng ; Zhou, Wei-Xing ; Chen, Wei ; Zhang, Yong-Jie ; Xu, Hai-Chuan ; Xiong, Xiong. In: Papers. RePEc:arx:papers:1704.04354.

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2017Lagrange regularisation approach to compare nested data sets and determine objectively financial bubbles inceptions. (2017). Demos, Guilherme ; Sornette, Didier. In: Papers. RePEc:arx:papers:1707.07162.

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2017A regularity structure for rough volatility. (2017). Bayer, Christian ; Stemper, Benjamin ; Martin, Joerg ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:1710.07481.

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2017Stock market as temporal network. (2017). Wang, Gang-Jin ; Zhao, Longfeng ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi. In: Papers. RePEc:arx:papers:1712.04863.

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2017Dependence between Stock Returns of Italian Banks and the Sovereign Risk. (2017). Durante, Fabrizio ; Weissensteiner, Alex ; Foscolo, Enrico . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:23-:d:100926.

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2017Bounded Brownian Motion. (2017). Carr, Peter. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:61-:d:119375.

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2017Characterizing the financial cycle: evidence from a frequency domain analysis. (2017). Proaño, Christian ; Wolters, Jurgen ; Proao, Christian R ; Strohsal, Till. In: IMK Working Paper. RePEc:imk:wpaper:189-2017.

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2017On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators. (2017). GUPTA, RANGAN ; Demirer, Riza ; Demos, Guilherme ; Sornette, Didier. In: Working Papers. RePEc:pre:wpaper:201752.

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2017Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty. (2017). Leung, Tim ; Ward, Brian ; Concha, Julio ; Bulthuis, Brian. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500207.

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2017Contests as selection mechanisms: The impact of risk aversion. (2017). March, Christoph ; Sahm, Marco. In: BERG Working Paper Series. RePEc:zbw:bamber:127.

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2017Fiscal consolidations and finite planning horizons. (2017). Mavromatis, Kostas(Konstantinos) ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:130.

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2017Managing unanchored, heterogeneous expectations and liquidity traps. (2017). Hommes, Cars ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:131.

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2017Fiscal consolidations and heterogeneous expectations. (2017). Mavromatis, Kostas(Konstantinos) ; Hommes, Cars ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:132.

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2017Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market. (2017). Schasfoort, Joeri ; Stockermans, Christopher. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201763.

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Recent citations received in 2016

YearCiting document
2016Polynomial Diffusion Models for Life Insurance Liabilities. (2016). Biagini, Francesca ; Zhang, Yinglin . In: Papers. RePEc:arx:papers:1602.07910.

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2016Short selling constraints and stock returns volatility: empirical evidence from the German stock market. (2016). Wilfling, Bernd ; Reher, Gerrit ; Bohl, Martin T. In: CQE Working Papers. RePEc:cqe:wpaper:4516.

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2016Maximizing excess return per unit variance: A novel investment management objective. (2016). Glabadanidis, Paskalis. In: Journal of Asset Management. RePEc:pal:assmgt:v:17:y:2016:i:7:d:10.1057_jam.2016.11.

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2016THE EFFECT OF HETEROGENEITY ON FINANCIAL CONTAGION DUE TO OVERLAPPING PORTFOLIOS. (2016). Harrald, Paul ; Medda, Francesca ; Caccioli, Fabio ; Banwo, Opeoluwa. In: Advances in Complex Systems (ACS). RePEc:wsi:acsxxx:v:19:y:2016:i:08:n:s0219525916500168.

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Recent citations received in 2015

YearCiting document
2015Stress for Success: A Review of Timothy Geithners Financial Crisis Memoir. (2015). Gorton, Gary. In: Journal of Economic Literature. RePEc:aea:jeclit:v:53:y:2015:i:4:p:975-95.

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2015Can a stochastic cusp catastrophe model explain housing market crashes?. (2015). Wang, J. In: CeNDEF Working Papers. RePEc:ams:ndfwpp:15-12.

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2015Asset Price Bubbles. (2015). Jarrow, Robert. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:7:y:2015:p:201-218.

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2015Club Convergence of House Prices: Evidence from Chinas Ten Key Cities. (2015). Meng, Hao ; Xie, Wen-Jie ; Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:1503.05550.

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2015Quadratic Hawkes processes for financial prices. (2015). Blanc, Pierre ; Bouchaud, Jean-Philippe ; Donier, Jonathan . In: Papers. RePEc:arx:papers:1509.07710.

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2015Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach. (2015). Mantegna, Rosario ; Musciotto, Federico ; Piilo, Jyrki ; Micciche, Salvatore ; Marotta, Luca . In: Papers. RePEc:arx:papers:1511.06873.

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2015Strategic Interactions and Contagion Effects under Monetary Unions. (2015). Piersanti, Giovanni ; Di Bartolomeo, Giovanni ; Canofari, Paolo. In: The World Economy. RePEc:bla:worlde:v:38:y:2015:i:10:p:1618-1629.

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2015Bank Networks: Contagion, Systemic Risk and Prudential Policy. (2015). Faia, Ester ; Delli Gatti, Domenico ; Aldasoro, Iñaki. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10540.

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2015Interconnectedness of the banking sector as a vulnerability to crises. (2015). Rancan, Michela ; Peltonen, Tuomas ; Sarlin, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20151866.

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2015The role of bank relationships in the interbank market. (2015). Montes Rojas, Gabriel ; Iori, Giulia ; Montes-Rojas, Gabriel ; Temizsoy, Asena . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:59:y:2015:i:c:p:118-141.

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2015Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange. (2015). Zhenzhen, Zhu ; Wong, Wing-Keung ; HOANG, Thi Hong Van ; Zhu, Zhenzhen . In: Economic Modelling. RePEc:eee:ecmode:v:50:y:2015:i:c:p:200-211.

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2015Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange. (2015). Wong, Wing-Keung ; Lean, Hooi Hooi ; HOANG, Thi Hong Van. In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:98-108.

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2015A comparison of the convenience yield and interest-adjusted basis. (2015). Fouquau, Julien ; Six, Pierre. In: Finance Research Letters. RePEc:eee:finlet:v:14:y:2015:i:c:p:142-149.

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2015Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world. (2015). Lleo, Sebastien ; Ziemba, William T.. In: International Journal of Forecasting. RePEc:eee:intfor:v:31:y:2015:i:2:p:399-425.

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2015Dynamical macroprudential stress testing using network theory. (2015). Levy-Carciente, Sary ; Havlin, Shlomo ; Stanley, Eugene H ; Avakian, Adam ; Kenett, Dror Y. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:164-181.

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2015The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?. (2015). Rodriguez, Rosa ; Malagon, Juliana ; Moreno, David. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:60:y:2015:i:c:p:224-238.

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2015MA trading rules, herding behaviors, and stock market overreaction. (2015). Ni, Yensen ; Huang, Paoyu ; Liao, Yi-Ching . In: International Review of Economics & Finance. RePEc:eee:reveco:v:39:y:2015:i:c:p:253-265.

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2015Behavioural, Financial, and Health & Medical Economics: A Connection. (2015). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:78718.

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2015The Italian Corporate System: SOEs, Private Firms and Institutions in a Network Perspective (1952-1983). (2015). Bargigli, Leonardo ; Giannetti, Renato . In: Working Papers - Economics. RePEc:frz:wpaper:wp2015_01.rdf.

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2015Dependence Uncertainty Bounds for the Expectile of a Portfolio. (2015). Vanduffel, Steven ; Jakobsons, Edgars. In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:4:p:599-623:d:60385.

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2015Measuring Contagion-Induced Funding Liquidity Risk in Sovereign Debt Markets. (2015). Hui, Cho-Hoi ; Fong, Tom ; Zheng, Xiao-Fen ; Lo, Chi-Fai. In: Working Papers. RePEc:hkm:wpaper:182015.

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2015Designing Effective Macroprudential Stress Tests; Progress So Far and the Way Forward. (2015). Demekas, Dimitri. In: IMF Working Papers. RePEc:imf:imfwpa:15/146.

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2015Dynamical Macroprudential Stress Testing Using Network Theory. (2015). Kenett, Dror Y ; Havlin, Shlomo ; Stanley, Eugene H ; Avakian, Adam ; Levy-Carciente, Sary . In: Working Papers. RePEc:ofr:wpaper:15-12.

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2015Measuring the Unmeasurable: An Application of Uncertainty Quantification to Financial Portfolios. (2015). Chen, Jingnan ; Sowers, Richard B ; Flood, Mark D. In: Working Papers. RePEc:ofr:wpaper:15-19.

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2015Contagion in Financial Networks. (2015). Glasserman, Paul ; Young, Peyton. In: Economics Series Working Papers. RePEc:oxf:wpaper:764.

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2015Could the global financial crisis improve the performance of the G7 stocks markets?. (2015). Zhenzhen, Zhu ; Wong, Wing-Keung ; Vieito, Joo Paulo ; Zhu, Zhenzhen . In: MPRA Paper. RePEc:pra:mprapa:66521.

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2015Networks of value added trade. (2015). Cabral, Sonia. In: Working Papers. RePEc:ptu:wpaper:w201516.

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2015Network science: a useful tool in economics and finance. (2015). Kenett, Dror ; Havlin, Shlomo. In: Mind & Society: Cognitive Studies in Economics and Social Sciences. RePEc:spr:minsoc:v:14:y:2015:i:2:p:155-167.

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2015European Government Bond Dynamics and Stability Policies: Taming Contagion Risks. (2015). Hillebrand, Martin ; Ott, Thomas ; Schuele, Martin ; Schwendner, Peter . In: Working Papers. RePEc:stm:wpaper:8.

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2015Input-output-based measures of systemic importance. (2015). Angeloni, Ignazio ; Aldasoro, Iñaki. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:589-606.

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2015Financial stability from a network perspective. (2015). Leon Rincon, C. E., . In: Other publications TiSEM. RePEc:tiu:tiutis:bb2e4e44-e842-45c6-a946-4ba7bdffb65c.

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2015Behavioural, Financial, and Health & Medical Economics: A Connection. (2015). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1514.

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2015Cost-efficiency in multivariate Lévy models. (2015). Ludger, Ruschendorf ; Viktor, Wolf . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:16:n:1.

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2015COUPLED NETWORK APPROACH TO PREDICTABILITY OF FINANCIAL MARKET RETURNS AND NEWS SENTIMENTS. (2015). Curme, Chester ; Vodenska, Irena ; Stanley, Eugene H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:07:n:s0219024915500430.

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2015THE MULTI-CURVE POTENTIAL MODEL. (2015). Nguyen, The Anh ; Seifried, Frank Thomas. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:07:n:s0219024915500491.

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2015Multiplex interbank networks and systemic importance: An application to European data. (2015). Aldasoro, Iñaki ; Alves, Ivan . In: SAFE Working Paper Series. RePEc:zbw:safewp:102.

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2015Multiplex interbank networks and systemic importance: An application to European data. (2015). Aldasoro, Iñaki ; Alves, Ivan . In: SAFE Working Paper Series. RePEc:zbw:safewp:102r.

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Recent citations received in 2014

YearCiting document
2014Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500. (2014). Costola, Michele ; Corazzini, Luca ; Caporin, Massimiliano. In: CREATES Research Papers. RePEc:aah:create:2014-33.

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2014Optimal Exercise for Derivative Securities. (2014). . In: Annual Review of Financial Economics. RePEc:anr:refeco:v:6:y:2014:p:459-487.

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2014Utility indifference pricing of derivatives written on industrial loss indexes. (2014). Leobacher, Gunther ; Ngare, Philip. In: Papers. RePEc:arx:papers:1404.0879.

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2014To sigmoid-based functional description of the volatility smile. (2014). Itkin, Andrey. In: Papers. RePEc:arx:papers:1407.0256.

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2014Efficient solution of structural default models with correlated jumps and mutual obligations. (2014). Itkin, Andrey ; Lipton, Alexander. In: Papers. RePEc:arx:papers:1408.6513.

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2014Volatility is rough. (2014). Gatheral, Jim ; Jaisson, Thibault ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1410.3394.

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2014Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling. (2014). Bacry, Emmanuel ; Jaisson, Thibault ; Muzy, Jean-Francois . In: Papers. RePEc:arx:papers:1412.7096.

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2014An optimal stochastic control framework for determining the cost of hedging of variable annuities. (2014). Vetzal, Kenneth ; Forsyth, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:44:y:2014:i:c:p:29-53.

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2014Optimal corporate hedging using options with basis and production risk. (2014). Barbi, Massimiliano ; Bajo, Emanuele ; Romagnoli, Silvia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:30:y:2014:i:c:p:56-71.

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2014Pricing and hedging of variable annuities with state-dependent fees. (2014). Delong, Ukasz . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:58:y:2014:i:c:p:24-33.

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2014Non-parametric analysis of equity arbitrage. (2014). VORTELINOS, DIMITRIOS. In: International Review of Economics & Finance. RePEc:eee:reveco:v:33:y:2014:i:c:p:199-216.

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2014A general HJM framework for multiple yield curve modeling. (2014). Gnoatto, Alessandro ; Cuchiero, Christa ; Fontana, Claudio. In: Working Papers. RePEc:hal:wpaper:hal-01011752.

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2014Centrality-based Capital Allocations. (2014). Raupach, Peter ; Alter, Adrian ; Craig, Ben . In: IMF Working Papers. RePEc:imf:imfwpa:14/237.

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2014OR Forum—Design of Risk Weights. (2014). Kang, Wanmo ; Glasserman, Paul. In: Operations Research. RePEc:inm:oropre:v:62:y:2014:i:6:p:1204-1220.

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2014Learning Continuous Time Bayesian Network Classifiers Using MapReduce. (2014). Villa, Simone ; Rossetti, Marco . In: Journal of Statistical Software. RePEc:jss:jstsof:v:062:i03.

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2014Design of Risk Weights. (2014). Glasserman, Paul ; Kang, Wanmo. In: Working Papers. RePEc:ofr:wpaper:14-06.

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2014Analysis of deviance in household financial portfolio choice: evidence from Spain. (2014). Utrero-González, Natalia ; González Chapela, Jorge ; Callado-Muñoz, Francisco ; Callado Muñoz, Francisco Jose, . In: MPRA Paper. RePEc:pra:mprapa:57497.

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2014Clustering of financial time series in risky scenarios. (2014). Durante, Fabrizio ; Pappada, Roberta ; Torelli, Nicola . In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:8:y:2014:i:4:p:359-376.

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Source data used to compute the impact factor of RePEc series.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2th 2018. Contact: CitEc Team